Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 4 | 5 | 5 |
| Score | 4.2 | 11.33 | 6.49 |
| Market Cap (Millions USD) | 1134.21 | 1016.76 | 1108.93 |
| Predicted Beta | 0.26 | 0.26 | 0.25 |
| Idiosyncratic Volatility | 1.45 | 1.31 | 1.41 |
Annualized return and volatility
| EWL | |
|---|---|
| Annualized Return | 0.0625 |
| Annualized Std Dev | 0.2075 |
| Annualized Sharpe (Rf=0%) | 0.3010 |
Row
Daily Return Statistics
| EWL | |
|---|---|
| Observations | 5111.0000 |
| NAs | 2.0000 |
| Minimum | -0.0827 |
| Quartile 1 | -0.0058 |
| Median | 0.0003 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0068 |
| Maximum | 0.1178 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0131 |
| Skewness | -0.1804 |
| Kurtosis | 6.2361 |
Downside Risk
| EWL | |
|---|---|
| Semi Deviation | 0.0094 |
| Gain Deviation | 0.0091 |
| Loss Deviation | 0.0100 |
| Downside Deviation (MAR=210%) | 0.0141 |
| Downside Deviation (Rf=0%) | 0.0093 |
| Downside Deviation (0%) | 0.0093 |
| Maximum Drawdown | 0.5162 |
| Historical VaR (95%) | -0.0199 |
| Historical ES (95%) | -0.0312 |
| Modified VaR (95%) | -0.0202 |
| Modified ES (95%) | -0.0346 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-11 | 2009-03-09 | 2011-04-14 | -0.5162 | 857 | 320 | 537 |
| 2001-01-04 | 2003-03-12 | 2005-02-24 | -0.4680 | 1058 | 557 | 501 |
| 2011-06-01 | 2011-11-25 | 2013-01-02 | -0.2547 | 407 | 126 | 281 |
| 2015-05-15 | 2016-02-11 | 2017-05-05 | -0.2140 | 505 | 191 | 314 |
| 2018-01-29 | 2018-12-24 | 2019-06-06 | -0.1736 | 347 | 233 | 114 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | EWL | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | 2.2 | 0.9 | 0.0 | 0.0 | -1.2 | 0.0 | 1.2 | 0.8 | 0.0 | -0.4 | 2.1 | 0.0 | 5.6 |
| 2001 | 1.0 | -2.9 | 0.0 | 1.4 | 0.0 | 0.0 | 2.6 | 0.0 | -1.2 | 0.9 | 0.0 | 0.0 | 1.8 |
| 2002 | -0.3 | -0.3 | 2.1 | 2.5 | 0.0 | -1.0 | -0.9 | 0.0 | 0.5 | 2.3 | 0.0 | 0.0 | 4.9 |
| 2003 | 0.0 | 0.0 | 0.0 | 0.4 | 0.0 | -0.5 | 1.2 | 0.0 | 0.5 | 0.0 | 0.9 | 0.0 | 2.5 |
| 2004 | 0.0 | 1.7 | 0.9 | 0.0 | -0.6 | -1.1 | 0.0 | 0.3 | 2.0 | 0.7 | 0.2 | 0.0 | 4.4 |
| 2005 | 0.2 | 0.5 | -0.2 | 0.0 | 0.6 | -0.5 | 1.2 | 1.5 | 0.0 | 0.2 | 1.7 | 0.0 | 5.4 |
| 2006 | -0.1 | 1.1 | 0.0 | -0.7 | 0.2 | 0.0 | -0.6 | 0.4 | 0.0 | 0.4 | -0.1 | 0.0 | 0.6 |
| 2007 | 0.2 | -0.6 | 0.0 | -0.3 | 0.4 | 0.0 | -0.1 | 0.0 | 1.1 | -2.1 | 0.0 | 0.0 | -1.5 |
| 2008 | 1.3 | 0.0 | 2.3 | 0.7 | 0.0 | -0.7 | -0.9 | 0.0 | 0.5 | 0.0 | -8.0 | 0.0 | -5.1 |
| 2009 | 0.0 | 0.0 | 2.4 | 2.8 | 2.2 | 1.2 | 0.0 | -2.4 | -2.4 | 0.0 | 2.1 | 0.0 | 5.7 |
| 2010 | 1.9 | 0.4 | 1.3 | 0.0 | -1.0 | 1.2 | 0.0 | 2.5 | 0.3 | -0.7 | 2.0 | 0.0 | 8.0 |
| 2011 | 1.9 | -0.8 | 0.1 | 0.0 | -1.2 | -0.3 | -0.8 | 0.5 | 0.0 | -3.4 | 0.0 | 0.0 | -3.8 |
| 2012 | 1.8 | 0.7 | 0.0 | 0.7 | -1.4 | 0.0 | -0.4 | 0.0 | 1.4 | 1.0 | 0.0 | 0.0 | 3.8 |
| 2013 | 1.0 | -0.4 | -0.4 | -0.4 | 0.0 | 0.6 | 0.7 | 0.0 | 0.5 | -0.5 | 0.0 | 0.0 | 1.1 |
| 2014 | 0.0 | 0.0 | 0.5 | 0.1 | 0.0 | 0.8 | -0.5 | 0.0 | -1.0 | 0.0 | 0.1 | 0.0 | -0.1 |
| 2015 | 0.0 | 0.0 | 1.2 | 1.4 | -0.6 | 0.5 | 0.0 | -2.3 | 0.0 | 0.0 | 0.6 | 0.0 | 0.7 |
| 2016 | -0.1 | 2.5 | -0.5 | 0.0 | 0.5 | 0.5 | -0.5 | 0.3 | 0.0 | 0.3 | -0.6 | 0.0 | 2.3 |
| 2017 | 0.0 | 0.8 | 0.0 | 0.4 | 0.4 | 0.0 | 0.5 | -0.1 | 0.0 | -0.6 | 0.4 | 0.0 | 1.8 |
| 2018 | 0.3 | -1.8 | 0.0 | -0.4 | 1.3 | 0.0 | -0.3 | 0.0 | 0.1 | 0.9 | 0.0 | 0.0 | 0.1 |
| 2019 | -0.4 | 0.7 | 0.7 | -0.3 | 0.0 | -0.3 | 0.3 | 0.0 | -1.2 | 0.3 | 0.0 | 0.5 | 0.3 |
Row
Rolling Performance Chart
Snail Trail Chart
